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A characterization of oil price behavior — Evidence from jump models
16 references·3 citing·37 second hop
A characterization of oil price behavior — Evidence from jump models (2012)A characterization of oil price behavior …Forecasting crude oil market volatility: Further evidence using GARCH-class models (2010)Forecasting crude oil market …Understanding Crude Oil Prices (2008)Understanding Crude Oil PricesPublic policies against global warming: a supply side approach (2008)Public policies against globa…Conditional Jump Dynamics in Stock Market Returns (2002)Conditional Jump Dynamics in …Perfect Competition and the Effects of Energy Price Increases on Economic Activity (2000)Perfect Competition and the E…The Long-Run Evolution of Energy Prices (1999)The Long-Run Evolution of Ene…Nonrenewable Resource Scarcity (1998)Nonrenewable Resource ScarcityImperfect Competition and the Effects of Energy Price Increases on Economic Activity (1996)Imperfect Competition and the…Oil Shocks and the Macroeconomy: The Role of Price Variability* (1995)Oil Shocks and the Macroecono…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyOn Jump Processes in the Foreign Exchange and Stock Markets (1988)On Jump Processes in the Fore…Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Trends in natural-resource commodity prices: An analysis of the time domain (1982)Trends in natural-resource co…Irreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…The Economics of Exhaustible Resources (1931)The Economics of Exhaustible …Impact of crude oil volatility jumps on sustainable investments: Evidence from India (2023)Impact of crude oil volatilit…Dynamic jumps in global oil price and its impacts on China's bulk commodities (2018)Dynamic jumps in global oil p…Explosive oil prices (2016)Explosive oil pricesThe Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)The Dynamics of Commodity Spot and Futures Markets: A Primer (2001)Oil and energy price volatility (2006)A new approach for crude oil price analysis based on Empirical Mode Decomposition (2007)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Multivariate Simultaneous Generalized ARCH (1995)ARCH modeling in finance (1992)What happened to the oil price-macroeconomy relationship? (1996)Oil price shocks and real GDP growth: empirical evidence for some OECD countries (2005)Exogenous Oil Supply Shocks: How Big Are They and How Much Do They Matter for the U.S. Economy? (2008)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)What is an Oil Shock? (2000)Causes and Consequences of the Oil Shock of 2007-08 (2009)Dynamic correlation between stock market and oil prices: The case of oil-importing and oil-exporting countries (2011)Financialization of Commodity Markets (2013)Understanding business cycles (1977)The Value of Waiting to Invest (1982)Option pricing when underlying stock returns are discontinuous (1976)Modelling the persistence of conditional variances (1986)A Markov Model of Switching-Regime ARCH (1994)News Arrival, Jump Dynamics, and Volatility Components for Individual Stock Returns (2004)On more robust estimation of skewness and kurtosis (2004)A Mathematical Theory of Saving (1928)The Economics of Welfare (1933)Optimal Taxes on Fossil Fuel in General Equilibrium (2014)Carbon pricing in climate policy: seven reasons, complementary instruments, and political economy considerations (2017)Can low-carbon city construction facilitate green growth? Evidence from China's pilot low-carbon city initiative (2019)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Balanced-budget redistribution as the outcome of political competition (1987)RCP4.5: a pathway for stabilization of radiative forcing by 2100 (2011)Capital markets research in accounting (2001)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1931The Economics of Exhaustible Resources4,535 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 2008Understanding Crude Oil Prices1,270 cited
  • 2008Public policies against global warming: a supply side approach1,018 cited
  • 1995Oil Shocks and the Macroeconomy: The Role of Price Variability*914 cited
  • 1999The Long-Run Evolution of Energy Prices657 cited
  • 1988On Jump Processes in the Foreign Exchange and Stock Markets625 cited
  • 1998Nonrenewable Resource Scarcity485 cited
  • 1996Imperfect Competition and the Effects of Energy Price Increases on Economic Activity455 cited
  • 1982Trends in natural-resource commodity prices: An analysis of the time domain394 cited
  • 2010Forecasting crude oil market volatility: Further evidence using GARCH-class models374 cited
  • 2000Perfect Competition and the Effects of Energy Price Increases on Economic Activity370 cited
  • 2002

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Conditional Jump Dynamics in Stock Market Returns
358 cited

Cited by

  • 2016Explosive oil prices60 cited
  • 2018Dynamic jumps in global oil price and its impacts on China's bulk commodities56 cited
  • 2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India19 cited